Basu, Devraj, Oomen, Roel and Stremme, Alexander. (2010) International dynamic asset allocation and return predictability. Journal of Business Finance & Accounting, Vol.37 (No.7-8). pp. 1008-1025. ISSN 0306-686X

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Abstract

The presence of time varying investment opportunity sets has been documented in the context of international asset allocation, and the economic value associated with these is a topic of lively debate in the academic literature. This paper constructs simple, real-time dynamic international asset allocation strategies based on daily data that exploit the return predictability arising from time varying market integration. Our timing strategies outperform the major (US, UK, Japanese and German) country indices and related portfolios, particularly in down markets. The strategies appear to capture much of the economic value of the return predictability implied by market integration and have many of the characteristics of successful timing strategies.

Item Type:	Journal Article
Subjects:	H Social Sciences > HG Finance
Divisions:	Faculty of Social Sciences > Warwick Business School > Finance Group Faculty of Social Sciences > Warwick Business School
Journal or Publication Title:	Journal of Business Finance & Accounting
Publisher:	Wiley-Blackwell Publishing Ltd.
ISSN:	0306-686X
Official Date:	September 2010
Volume:	Vol.37
Number:	No.7-8
Number of Pages:	18
Page Range:	pp. 1008-1025
Identification Number:	10.1111/j.1468-5957.2010.02195.x
Status:	Peer Reviewed
Publication Status:	Published
Access rights to Published version:	Restricted or Subscription Access
URI:	http://wrap.warwick.ac.uk/id/eprint/5086

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